Stock-Bond Return Dynamics and the Expected Country Stock Returns

The author thanks two anonymous referees, Lukas Schmidt (the editor), Jennie Bai, Jaewon Choi, Dimas Fazio, Amit Goyal, Allaudeen Hameed, Claire Yurong Hong, Dashan Huang, Chanik Jo, Chris Jones, Heungju Park, Andrew Rose, Sergei Sarkissian, Johan Sulaeman, Sheridan Titman, Jianfeng Yu, and seminar and session participants at Sungkyunkwan University, Yonsei University, the Asia-Pacific Association of Derivatives meetings, the 5th National University of Singapore–Peking University International Conference on Quantitative Finance and Economics, the 2023 Korea Finance Association Young Scholar Workshop, the 2022 Society of Financial Econometrics Annual Meetings, and the 5th World Symposium on Investment Research for comments. All errors are the author’s.